Although the marathon race has been democratized, it remains complex due to the famous “hitting the wall” phenomenon after the 25th km. To characterize this “wall” from a physiological and Rate of Perceived Exertion (RPE) perspective in recreational marathon runners, we report first continuous breath-by-breath gas exchange measurements during an actual marathon race. In order to test the hypothesis that RPE could be a candidate for controlling the marathon pace, this study examined the relationship between RPE and the physiological variables time course throughout a marathon. Only the respiratory frequency and heart rate increased progressively during the race in all the runners, while the oxygen uptake and ventilatory rate followed different kinetics according the individuals. However, the indexation of the physiological parameters and speed by RPE showed the same decreased tendency for all the runners. In conclusion, these results suggest that running a marathon must be self-paced with the RPE.